Recent evidence confirms that in factor-model examinations of the cross-section of REIT returns, REIT momentum emerges as the dominant driver. Acknowledging the importance of momentum, the current study explores whether and how REIT return patterns are linked to the underlying characteristics of...

In 1997 the U.S. Treasury introduced Inflation Indexed (or Protected) Securities with substantial promotional fanfare. Yet, due in part to what some in the finance profession have described as a quot;tax disadvantagequot; placed upon TIPS, many are questioning whether they should appeal to a...

Recent research demonstrates the importance of modeling intraday dynamic price relationships using high-frequency transactions data as simultaneous equations models to account for simultaneity in futures and spot prices. Motivated by theoretical and econometric considerations, this paper...

The belief that excess returns can be achieved by correctly timing changes in yields and/or yield spreads motivates active bond portfolio management strategies. Given the rich literature linking yield spread patterns to both the business cycle and changes in short-term interest rates, we...